├── Baruch_lecture1_2017.pdf ├── Baruch_lecture2_2017.pdf ├── Baruch_lecture3_2016.pdf ├── Baruch_lecture4_2017.pdf ├── HFT-Bershova-Rakhlin.pdf ├── MTH9894_Algo_Trading_Team4 ├── MTH9894_Algo+Trading_Final+Project_Team4.ipynb ├── SP500TR.csv ├── TNX.csv ├── find_pairs.py ├── plot_result.py ├── sp_500_daily_return.csv └── strategy.py ├── README.md └── project ├── data ├── F-F_Research_Data_Factors.CSV ├── F-F_Research_Data_Factors_CSV.zip ├── SP500TR.csv ├── TNX.csv └── sp_500_daily_return.csv └── paper ├── Barra market impact.pdf ├── Bid-ask spread.pdf ├── does pair trading still work.pdf ├── equity market impact.pdf ├── example in pair trading.pdf ├── pair trading.pdf └── stat arb 2008 - Avellaneda Lee.pdf /Baruch_lecture1_2017.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/echalkpad/MTH9894-Algo-Trading/HEAD/Baruch_lecture1_2017.pdf 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